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Depo shot does not interfere with urine pregnancy test results. If your fertility/ovulation has returned immediately after stopping with or missing the Depo shot, and if you have been sexually active without protection, a chance of pregnancy resulting in immediate cycle is a possibility (women have reported pregnancy in immediate cycle after coming off birth control). The symptoms that you describe (missed period, gum bleed, nausea, vomiting, weight gain, pelvic pressure, frequent urination) could indicate pregnancy possibility. Look out for development of any other new symptoms if pregnancy is suspected. If periods do not start within 10 days of expected period dates, or if you get abnormal periods, or if you suspect chances of pregnancy, consider visiting your doctor/gynecologist at the earliest for thorough examination (to confirm pregnancy related changes/signs in body) and blood/serum HCG level test (to confirm/rule out pregnancy accurately). The urine pregnancy tests done early in pregnancy can show you false negative results as the kits are calibrated ones, so unless the hormone levels in urine reach a certain level, they do not show positive results. Be in regular monitoring and follow-up with your treating doctor/gynecologist and report any new/abnormal symptoms immediately. Take adequate rest. Drink plenty of water. Maintain healthy diet.
Take care.